anyone know of unscented particle filter algorithm in OS lang

Discussion in 'Automated Trading' started by dtrader98, Oct 26, 2009.

  1. I know I'm fishing here, but....
    Please post if you know of one, or even better if you've built one let me know.

    I know matlab has particle filter, but I'm specifically looking for unscented and non-matlab OS implementation.
  2. rosy2


  3. That's not unscented, but thanks anyways. I knew about it. I have a C++ version, but it's a pain to translate.

    I am looking to build an unscented particle filter algorithm in OS language.
  4. Closest thing I could find (C++). Unscented kalman filter + particle filter:

    You know you can call C++ functions from most other languages, right?
  5. Stoxtrader, PM sent. Yes, I think that was the C++ package I was referring to.

    If anyone has experience using pyrex/cython (or similar interface: weave, Instance/SWIG ex) to run C++ files in python please chime in.

    I looked over the cython intro, and it doesn't look as easy as just instantiating the C++ classes and defs into a python wrapper. If anyone has done this, please let me know, as I would prefer to run this in something like python. However, if I have to go through each class and modify it to work, I don't know if it's worth the effort.

    Also, a great test case would be if you could run any of the particle filters on a ts from the C++ lib Stoxtrader pointed out using python, and letting me know if it works.